SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank Additional Notes F-159
Annual Report 2010 on Form 20-F 36 – Regulatory Capital
— Certain items must be deducted from Tier 1 and Tier 2 capital. Primarily these include deductible
investments in unconsolidated banking, financial and insurance entities where the Group holds more than
10 % of the capital (in case of insurance entities 20 % either of the capital or of voting rights unless
included in the solvency margin calculation of the financial conglomerate), the amount by which the
expected loss for exposures to central governments, institutions and corporate and retail exposures as
measured under the bank’s internal ratings based approach (“IRBA”) model exceeds the value adjustments
and provisions for such exposures, the expected losses for certain equity exposures, securitization positions
not included in the risk-weighted assets and the value of securities delivered to a counterparty plus any
replacement cost
to the extent the required payment by the counterparty has not been made within five business days after
delivery provided the transaction has been allocated to the bank’s trading book.
— Tier 3 capital consists mainly of certain short-term subordinated debt.
The amount of subordinated debt that may be included as Tier 2 capital is limited to 50 % of Tier 1 capital. Total
Tier 2 capital is limited to 100 % of Tier 1 capital.
The Core Tier 1 and the Tier 1 capital ratio are the principal measures of capital adequacy for internationally
active banks. The ratios compare a bank’s regulatory Core Tier 1 and Tier 1 capital with its credit risks, market
risks and operational risks pursuant to Basel II (which the Group refers to collectively as the “risk-weighted assets”
or “RWA”). In the calculation of the risk-weighted assets the Group uses BaFin approved internal models for all
three risk types. More than 90 % of the Group’s exposure relating to asset and off-balance sheet credit risks
(excluding Postbank) is measured using internal rating models under the so-called advanced IRBA. The vast
majority of the Group’s market risk component is a multiple of its value-at-risk figure, which is calculated for
regulatory purposes based on the Group’s internal models: standard calculation approaches are used for the
remainder. For operational risk calculations, the Group uses the so-called Advanced Measurement Approach
(“AMA”) pursuant to the German Banking Act.
The following two tables present a summary of the Group’s risk-weighted assets, and the regulatory capital
excluding transitional items pursuant to section 64h (3) of the German Banking Act.
in € m.
(unless stated otherwise) Dec 31, 2010 Dec 31, 2009
Credit risk 285,218 217,003
Market risk 1 23,660 24,880
Operational risk 37,326 31,593
Total risk-weighted assets 346,204 273,476
Core Tier 1 capital 29,972 23,790
Additional Tier 1 capital 12,593 10,616
Tier 1 capital 42,565 34,406
Tier 2 capital 6,123 3,523
Tier 3 capital – –
Total regulatory capital 48,688 37,929
Core Tier 1 capital ratio 8.7 % 8.7 %
Tier 1 capital ratio 12.3 % 12.6 %
Total capital ratio 14.1 % 13.9 %
1 A multiple of the Group’s value-at-risk, calculated with a confidence level of 99 % and a ten-day holding period.